Rodriguez, Gabriel - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 48-74
, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of … this distribution, and models the extremes through a maximum threshold. This is used to obtain the better measurements of …, in the first case we have that the non-degenerate distribution function is Gumbel-type. In the other case, we have a …